TDS remoting services provide a native SQL experience with local and remote ODBC data sources (contrast with limitations of using OLE DB).
With ODBC, you can summarise, and select just the data you need, in an Excel workbook before importing it into SQL Server. You can join data from different areas or worksheets. You can even get data from the result of a SQL Server SELECT statement into an Excel spreadsheet. Phil Factor shows how, and warns of some of the pitfalls.